I have tried to click on the link in Export that says "Subscribe (Events are automatically updated in Outlook when you change them on localendar)" but nothing happens. What are the details of this service?

If you have Outlook 2007 on your system (I dont think it has to be running, but it couldnt hurt) you should receive a pop-up from Outlook itself:

"Add this Internet Calendar to Outlook and subscribe to updates"

Outlook will subscribe to the iCal feed provided by localendar if you click Yes.
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Marc HigginsSupport Associate, localendar.comFollow us on Twitter! http://www.twitter.com/localendar_news